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on
Liquidity
Standards
The Monetary Board, in its Resolution No. 310 dated 18 February 20t6, approved
the attached liquidity standards, which include guidelines on liquidity coverage ratio (LCR),
and LCR disclosure standards that are consistent with the Basel lll frarnework. The
regufatory liquidity standards shall be incorporated as Subsections L!76.1, L776.2,1L76.3,
and AppendixT4a of the Manual of Regulations for Banks (MORB).
Section 1. The following subsections of the MORB shall be added as follows:
To
promote
short-term resilience of a bank's liquidity risk profile, a bank shall maintain, over a thirty
(30)-calendar day horizon, an adequate level of unencumbered high-quality liquid assets
{HQlAs) that consists of cash or assets that can be converted into cash at little or no loss of
value in private markets, to offset the net cash outflows it could encounter under a liquidity
stress scenario. At a minimum, the stsck of liquid assets should enable the bank to
withstand significant liquidity shocks that last thirty (30) calendar days, which would give
time for corrective actions to be taken by the bank management and/or the BSP.
"a. The LCR is the ratio of HQLAs to total net cash outflows. Under a normal situation, the
value of the ratio should be no lower than 100% on a daily basis because the stock of
unencumbered HQLA is intended to serve as a defense against the potential onset of
liquidity stress. The detailed LCR framework is provided as Part I of Appendix 74o
(Attachment 7).
"b. The LCR shall initially apply to all universal and commercial banks, including branches
of foreign banks.
"c. Required periodic reports. Banks shall comply with the minimum LCR on a daily basis.
However, for reporting purpose, banks shall report to the Bsp, through the
Supervisory Data Center, their LCR position for liquidity risk exposures as follows:
"i.
Measurement Date
LCR
Calculation Period
Submission Deadlines
*
**
Solo*
Consolidated**
Monthly
Quarterly
End-of-month
End-of-quarter
measurement date
measurement date
"ii. In a "singh currenqy'', i.e., ift peso-equivaleftt terrns. ttowever, for monitoring
purposes, banks shall also be required to submit an LCR Report per significant
currency. Using the same LCR Report template, banks shall report their liquidity
position in currencies in which they have significant activity as of LCR
measurement date. A currency is considered "significant" if the aggregate
fiabilities denominated in that currency amount to five percent {SYo) or more of
the bank total liabilities as of
LCR
measurement date."
The specific guidelines on the mode and manner of submission of the LCR Report
shall be covered by a separate memorandum issuance.
"d. The BSP reserves the right, upon the authority of the Deputy Governor, SES, to require
submission of reports and information prescribed under item "c" of Subsection
tl75.L outside the regular reporting period, and to conduct on-site inspection outside
of regular or special examination, for the purpose of ascertaining the accuracy of LCR
calculations as well as the integrity of LCR monitoring and reporting systems."
oSubsection 1176.2 LCR Disclosure
Requirements. To improve the transparency of
regulatory liquidity requirement enhance market discipline, and reduce uncertainty in the
market, banks are required to publicly disclose information related to the LCR.
The mandatory disclosure requirernents should be published in the quarterly published
balance sheet, and either, on the bank's website or in its other published financial reports or
publicly available regutatory reports (e.9., the audited financial staternents) as BrescriM
under Part ll of Appendix 74a."
The specific guidelines on the mode and manner of submission of the disclosure
requirements shall be covered by a separate memorandum issuance.
oSubsection
"a. On the bank: A bank which fails to comply with the provisions on
be subject to penalties under Appendix 67 of the MORB:
"i. For
non-submission, rcn-reprting
stotements. A bank which:
LCR
standards shall
LCR
Report; or
Page 2 of 5
"shall be subject
to the penalties
applicable
to
Appendix 5Z which shall be reckoned on a daily basis from the day following the
due date of the said. certification/reBorts until such time it is filed with the BSP in
the case of non-submission/non-reporting, or until such time that an amended or
corrected report has been submitted to the BSP in the case of falselmisleading
statements.
"ii. For delayed Sworn Certificotion ond/or LCR Report A bank shall be subject to the
penalties for delayed submission of the Sworn Certification and/or LCR Report in
accordance with the provisions of Subsection X192.2 of the MORB, to be reckoned
on the day following the due date of submission until the certification and/or
report is filed with the
BSP.
"c. Other sondions: The imposition of the foregoing sanctions shall be without prejudice
to the imposition of other administrative sanctions as provided in other regulations
and as may be determined by the BSP as applicable."
Section 2. Trqnsitionol Arrongements, The LCR shall be implemented in a phased-in
arrangement to help ensure the banking sector can meet the standard through reasonable
measures without disrupting credit extension and financial market activities. The gradual
transition timeframe will likewise afford the BSP with enough time to: (i) ensure that the
LCR functions as intended during both normal times and periods of stress; (ii) reduce
perverse impacts on asset and funding markets; (iii) mitigate potential impediments to the
smooth functioning of central bank operations; and (iv) limit unintended consequences for
economic activity. As may be necessary, the BSP may issue amendments on refinements of
the definition and qual.ification of HQLA, andlor recalibration of the parameters related to
cash flow items.
Page 3 of 5
During the phased introduction of the LCR standard, the following shall be observed:
1.
Compliance with the LCR minimum requirement will commence on 01 January 2018. The
prescribed minimum shall be set initially at90% for 2018, and shall rise to the minimum
required level of t0A% on 0l January 20L9, as per transition periods given below:
01July
01January
20L7
201:6
Minimum
2.
LCR
Observation Period
01 January
01 January
2018
90%
too%
Solo
Measurement Date
LCR
Calculation Period
Submission Deadline
'
Consolidated
End-of-quarter*
30 calendar days from measurement date
15 banking days from
measurement date
Quorter$t subezissions sholl start with quarter ended 3O June 2016 dnd shall conclude with
quarter ended 30 September 2A77 reports.
3.
Any non-submission or delayed submission of said LCR reports shall subject the bank to
appropriate sanctions provided under Subsection tL76.3 of the MORB.
4.
Starting 01 January 2018, a minimum LCR must be complied with at all times.
Accordingly, the solo and consolidated LCR Reports, together with the sworn
certification of compliance shall be submitted by the bank following the reportorial
requirementprescribed underitern "c" of Subsection 1175.1of the MOR8.
5.
Public disclosure of LCR posltion ln single currency and on a consofidated basis shalt be
required starting year 20L9, i.e., by first quarter of 2019 for the quarterly published
balance sheet, and by the year end 2019 for other published reports.
6.
The phase-in arrangement is intended to facilitate compliance with the new liquidity
requirement. Hence, bank with [CRs that are already at or near the prescribed
minimum should not view the transition period as an opportunity to reduce their
liquidity coverage. The LCR threshold is a minimum requirement and thus, bank are
expected to achieve a liquidity position in line with their liquidity risk profile and as an
effort towards better liquidity risk management.
7.
During the transition period, the BSP is not precluded to assess the level of compliance
of the bank to the LCR requirement. Those banks which would not be able to comply
with the minimum LCR by 01 January 2018 will be required to submit to the BSP,
through the appropriate CPCD, an acceptable liquidity build-up plan not later than
15 October 20L7. The CPCD concerned will evaluate the continuing compliance of the
bank to the said fiquidity build-up plan. The BSP may require the bank to undertake set
Page 4 of 5
of actions and/or impose sanctions for non-compliance with the liquidity build-up plan
as provided under the LCR standard and existing banking laws andlor BSP rules and
regulations.
This Circular shall take effect fifteen (15) calendar days following its publication
either in the Official Gazette or in a newspaper of general circulation.
/ru
lb
March 2ors
Page 5 of 5
Attachment 1
Appendix 74a
With this new liquidity standard, the BSP aims to further strengthen the risk
management of banks by enhancing their ability to draw information from their various
operations, and assess the impact of external events on the liquidity of financial instruments
and on the availability of funding under both normal and stressed conditions. With liquidity
risk measurement standards in place, banks are expected to manage their liquidity positions
more prudently by better aligning their funding models with their risk preferences and
incorporating liquidity risk into product pricing. Overall, the new liquidity regime shall give
market participants greater confidence in the ability of the banking sector to absorb shocks
arising from financial and economic stress, and, hence, lowering the probability of acute
shortfalls in liquidity.
The Basel Committee on Banking Supervision is a committee of banking supervisory authorities that was established by
the central bank governors of the Group of Ten countries in 1975. lt consists of senior representatives of bank
supervisory authorities and central banks from Argentina, Australia, Belgium, Canada, China, France, Germany, Hong
Kong SAR, India, Indonesia, ltaly, Japan, Korea, Luxembourg, Mexico, the Netherlands, Russia, Saudi Arabia, Spain,
Singapore, South Africa, Spain, Sweden, Switzerland, Turkey, the United Kingdom, and the United States. lt usually meets
at the Bank for International Settlements in Basel, Switzerland where its permanent Secretariat is located.
page 1 of 30
Appendix 74a
I.
DEFINITION OF TERMS
For the purpose of the LCR standard, the following terms and phrases shall be understood
as follows:
1. Beneficiory -
2.
3.
Clearing operotion
in domestic
to transfer
settlement
4.
5.
6.
Current morket volue - refers to the value of liquid assets included in the stock of HQLA,
measured in accordance with the existing guidelines on mark-to-market valuation under
Appendix 33a of the MORB.
7.
8.
9.
Page 2 of 30
Appendix 74a
LO.
Finoncial stress - pertains to a condition where a bank cannot meet or has difficulty
paying off its financial obligations as brought about by firm-specific and/or market-wide
stress events. In such financial circumstance, the bank may be having difficulty accessing
credit and financing facilities, and has no reasonable alternative other than to monetize
its HQLA to the extent necessary to meet obligations such as but not limited to:
o Servicing of deposit withdrawals;
o Posting of additional collateral requirements;
o Servicing of unscheduled drawdowns on committed but unused credit lines and
business facilities that are extended to clients;
o In the interest of mitigating reputational risk, buying back of debt, extending of funds
to honor non-contractual obligations, or accommodation of any unexpected liquidity
demand from counterparty.
Lt. Haircut - refers to a percentage by which the market value of an asset is reduced. A
haircut is applied by a collateral taker as a risk control measure to protect itself from
losses resulting from decline in the market value of an asset in the event that it needs to
liquidate said collateral.
liquid asset (HQLAJ - refers to an asset that can be converted easily and
immediately into cash at little or no loss of value in private markets to meet the bank's
liquidity needs during times of stress. To qualify as HQLA, the liquid asset should possess
the asset and market liquidity characteristics, and should satisfy the operational
requirements for monetization prescribed under the LCR standard. HQLAs shall be
categorized as either Level L or Level 2 assets. The stock of HQLA makes up the
numerator of the LCR.
L2. High-quality
L3. lnflow
Outflow rotes
obligations, and commitments during periods of liquidity stress. Inflow rates provide the
assumption at which assets or contractual receivables are expected to flow in during
times of stress. Outflow rates assume the level at which funding sources, obligations,
and commitments are expected to run off or be drawn down during stress periods.
t4.
- refers to the 3O-calendar day period following the LCR measurement date,
for
outflows calculation.
L7.
Appendix 74a
L9. Non-HQLAs - pertain to debt securities and equity shares that are neither qualified as
Level 1 nor Level 2 assets.
. Clearing
Cash Manasement
balances;
Intraday overdraft;
settlement positions;
of
e.
Payment remittance;
f.
g.
Custodv
i.
j.
k. Processing of collateral;
l.
Transfer of contractual payments, including collection and payment of dividends and other income
from financial assets held under custodianship; and
m. Escrow, funds transfer, stock transfer, and agency services, including payment and settlement
services (excluding correspondent banking), payment offees, taxes, and other expenses.
Page 4 of 30
Appendix 74a
23. Philippine National Government (NC)- refers to the Philippine NG and its agencies such
as departments, bureaus, offices, and instrumentalities, but excluding local government
24. Public
25. Rehypothecotion
27. Securities financing tronsactions (SFTs)- these involve repurchase (repos), and reverse
- refers to any liability and general obligation of the bank arising from
securities transaction that is covered by collateral in the form of duly constituted
mortgage, pledge, or lien on specifically designated asset owned by the bank or by its
related party that gives the counterparty priority over said asset in case of bankruptcy,
insolvency, liquidation, or resolution. This consists of repos, collateral swaps, collateral
lending to customers to cover short positions and other similar secured funding
arrangements. Forward repos and forward collateral swaps that start previous to and
mature within the LCR horizon are included in this category.
30.Speciol purpose entity (SPE)- as defined in the Basel ll Framework, SPE isa corporation,
trust, or other entity organized for a specific purpose, the activities of which are limited
to those appropriate to accomplish the purpose of the SPE, and the structure of which is
intended to isolate the SPE from the credit risk of an originator or seller of exposures.
SPEs are commonly used as financing vehicles in which exposures are sold to a trust or
similar entity in exchange for cash or other assets funded by debt issued by the trust.
Page 5 of 30
Appendix 74a
3t. Total expected cosh inflows - pertain to the various types of contractual receivables
which outstanding balances as of the LCR measurement date are multiplied by relevant
inflow rates. The total inflow amounts are capped at 75 percent of aggregated total
expected cash outflows.
32.Total expected cash outflows - pertain to the various on- and off-balance sheet funding
sources and commitments which outstanding balances as of the LCR measurement date
are multiplied by relevant outflow rates. The outflow amounts are aggregated to
determine the total expected cash outflows.
33. Total net cash outflows - pertains to the sum of the total expected outflow amounts less
the sum of the total expected inflow amounts, with the inflow amounts limited to 75
percent of outflow amounts. The calculated amount makes up the denominator of the
LCR, thereby establishing the amount of HQLA that a bank would be required to hold.
34. Trust ond other fiduciary - refers to a legal entity or to a specifically designated business
unit that is authorized to administer, hold or manage assets for the use or in behalf of a
third party. These shall include trust entities as defined under Section X403 of the
MORB, mutual funds, exchange-traded funds and other collective investment vehicles.
35. Unencumbered - means free of legal, regulatory, tax, accounting, contractual or other
impediments or practical restrictions on the ability of the bank to liquidate, sell, transfer,
or assign the asset. Liquid assets may also be considered unencumbered if the potential
credit or funding for which the assets are pre-positioned, deposited with or pledged to
the BSP, to a clearing and settlement system, or to another financial entity is not
currently extended to the bank or to any of its related parties2.
36. Unsecured wholesale funding - refers to liabilities and general obligations of the bank,
other than deposits, to wholesale clients that are not collateralized by legal rights to
specifically designated assets owned by the bank or by its related party. This includes
deposit substitutes, unsecured loans and advances, unsecured notes, bonds and other
debt securities, and other unsecured funding obligations.
3T.Wholesale deposits refer to deposit liabilities raised by the bank from legal entities
(excluding sole proprietorships and partnerships and those entities classified as micro
and small enterprises) (hereinafter called wholesale clients).
'
the MORB.
Page 6 of 30
Appendix 74a
Minimum
2.
01.fuly
01 January
0l January
20t6
20t7
2018
01 January
2019 & thereafter
90%
LOO%
Observation Period
LCR
in
4.
While the LCR establishes one scenario for stress testing, this should be viewed as a
minimum supervisory requirement. Banks are expected to conduct their own stress tests
as part of their liquidity risk management process in order to identify the risk drivers
that may lead to drastic fluctuations in their liquidity position. Accordingly, in view of the
stress scenarios constructed that reflect the actual and specific risks they are exposed
to, banks should be able to assess the level of liquidity they should hold, which could
possibly go beyond the regulatory minimum. Such internal stress tests should
incorporate time horizons longer than the 30-day stress period prescribed by this
standard. Banks are expected to share the results of these additional stress tests when
requested by the authorized representative/s of the appropriate departments of the
BSP-SES for examination/inspection or review purposes.
The BSP liquidity requirement is generally consistent with the Basel lll liquidity
framework except for the few parameters relating to certain net cash outflows and the
outflow rates used in its determination, where the BSP gives regard to supervisory and
market conditions that are distinctive to the Philippine financial market. As may be
necessary, the BSP may issue amendments on refinements of the definition and
qualification of HQLA, and/or recalibration of the parameters related to cash flow items.
The LCR is designed to promote the short-term resilience of the liquidity risk profile of a
bank. To meet funding obligations and draws on contingent liabilities over the next
thirty (30) calendar days, the LCR requires the bank to hold a stock of unencumbered
HQLA equal to or greater than total net cash outflows. Hence, the LCR is calculated as
the:
tCR
Stock of HQLA
Total net cash outflows over the next 30 calendar days
Page 7 of 30
Appendix 74a
2.
The standard requires that, under normal situation, the value of the liquidity ratio be no
lower than 100%t on . daily basis because the stock of unencumbered HQLA is intended
to serve as a defense against potential onset of liquidity stress.
3.
When calculating the LCR, the bank should maintain a consistent categorization of
given entity/counterparty across all HQLA, outflow and inflow categories.
4.
To facilitate LCR monitoring and ongoing compliance, the bank must maintain a reliable
system that has the ability to calculate liquidity positions on a day-to-day basis,
regardless of the frequency of mandatory reporting to the BSP. lt should capture, at a
minimum, specific information related to the bank's available unencumbered assets and
collaterals, cash flows, and certain market and liquidity indicators prescribed in the
standard. lt must have the ability to deliver granular and time-sensitive information
particularly during periods of stress.
B.
STOCK OF HqLA
5.
Asset and market liquidity characteristics. To qualify as HQLA, assets should have a high
potential to generate funds easily and immediately through outright sale or secured
borrowing, during a stress scenario without incurring large discounts due to fire-sales.
These assets must be liquid and readily-marketable, and ideally, eligible to be pledged at
the BSP as collateral for intraday liquidity needs and overnight borrowing facilities, to
enable banks to meet financial obligations when their other sources of funding are
reduced or unavailable.
6.
The liquidity and ready-marketability of an asset is influenced both by its own specific
features and by the characteristics of the broader market structure within which it is
traded. Set forth in Annex A are some of these key attributes that likely capture the
dimensions of asset and market liquidity. To assess the relative liquidity and
ready-marketability of an asset, each characteristic outlines relevant "liquidity metrics"
that need to be met to be eligible to qualify as HQLA.
7. These liquidity
8.
Operotionol requirements for monetization. Not all assets considered to be liquid and
readily-marketable are immediately eligible for the stock as there are other operational
restrictions on the availability of HQLA that can prevent timely monetization during a
stress period. The immediate availability of the liquid assets for monetization in times of
stress as well as the unrestricted use of the funds generated from outright sale or
secured borrowing of said assets must also be established in order for the liquid assets
to be appropriately considered as HQLA.
The 100% threshold is the minimum requirement under a normal situation, and after the phase-in arrangement is
complete. The minimum requirement is initially set at 90% for 2078, and shall rise to the minimum required level of
lOO% on 01 January 2019.
Page 8
of 30
Appendix 74a
9.
a.
i.
ii.
No operational constraint that may impede the monetization of the liquid asset
must be attached to it, such as, but not limited to:
(1) Whether the monetization of the asset would directly conflict with another
business or risk management strategy of the bank. For example, an asset
should not be included in the stock if the sale of that asset, without
replacement throughout the 30-day period, would remove a hedge that
would create an open risk position to the bank in excess of internal limits;
iii. The liquid asset received, such as those in SFTs or as collateral for
derivatives
transaction that is not segregated, must not have been rehypothecated and is
legally and contractually available for the bank's use.
iv. Assets or liquidity generated from said assets, which have been received under
right of rehypothecation or under brokering agreements, shall be excluded from
the bank's stock of HQLA if the beneficial owner has the contractual right to
withdraw those assets during the LCR period.
b.
lf a bank has deposited, pre-positioned or pledged Level 1, Level 2 and other assets in a collateral pool and no specific
securities are assigned as collateral for any transactions, it may assume that assets are encumbered in order of
increasing liquidity value in the LCR, i.e., assets ineligible for the stock of HQLA are assigned first, followed by Level 2
assets, and finally Level 1.
Page 9 of 30
Appendix 74a
(3) Control to any HQLA at any time. Control must be evidenced either by
maintaining the assets in a separate pool managed by the function with the
sole intent for use as a source of contingent funds, or by demonstrating that
the function can monetize the asset at any point in the 30-day stress period;
and
(4) Access and control over the monetization proceeds such that the funds will
be available to the function throughout the 30-day stress period without
directly conflicting with another business or risk management strategy of the
bank.
market, by:
(1) lmplementing policies that set out the approach to periodic monetization of
its HQLA, which are consistent with existing regulatory standards and
accounting principles;
to:
ofthe
assets; and
Page 10 of 30
Appendix 74a
first day of
the 30-day stress test period irrespective of residual maturity, shall be included in the
stock of HQLA. The highest quality liquid assets, the Level 1 assets, shall be included
without limit, while other HQLA, the Level 2 assets, can only comprise upto 4oo/o of the
stock.
of the stock of HQLA, specifically the 4O% cap on Level 2 assets, must
take into account the required haircuts, as applicable, and the assumed unwinding of all
short-term SFTs and collateral swap transactions maturing within 30 calendar days that
involve the exchange of HQLA. The details of the adjustment on calculation of the stock
of HQLA are provided in Annex B.
12. The specific individual assets within an asset class that would be considered as liquid and
a.
b.
Cash on hand;
To qualify as HQLA, the assets must satisfy the asset and market liquidity characteristics, and the operational
requirements for monetization eligibility criteria.
EligibleHQLAsthatarerecognizedatbookvalueoratamortizedcostsuchassecuritiesdesignatedas"held-to-maturity"
must be included in the HQLA amount calculation at current market value.
Page 11 of 30
Appendix 74a
c.
Overnight and term depositsT with the BSP, including reverse repos where the BSP is
the counterparty; and
d.
i.
ii.
(b) tevel
BSPe;
or
2 Assets
Level 2 Asset
a.
Haircut
t5%
50%
Securities which are guaranteed by the Philippine NG but were issued and remain as liabilities of a bank will not qualify
for the stock of HQLA. The only exception is when the bank also qualifies as a GOCC with the highest credit quality, in
which case, the securities issued by said bank could qualify for Level 2 assets if all necessary conditions are satisfied.
in the stock to the extent of the bank's net cash outflows in that
if
the holding company is primarily engaged in financial intermediation or in auxiliary financial activities that are closely
related to financial intermediation.
11
L2
Corporate debt securities (including commercial paper) in this respect include only plain-vanilla assets which valuation
is readily available based on standard methods and does not depend on private knowledge, i.e., these do not include
complex structured products or subordinated debt.
In the absence of a long-term rating, a short-term rating equivalent in quality to the long-term rating shall be used. In
The list of third party credit assessment agencies and the mapping of ratings given by these rating agencies are in
Part lV.C of Appendix 538 of the MORB.
Page 12 of 30
Appendix 74a
Level 2 Asset
c.
Haircut
L5%
50%
Eligible common equity shares that are included in the main index
of an organized exchange, and are not issued by a bank or any of a
bank's financial allied undertakingslo.
OUTFTOWS
total net cash outflows, which should include interests and installments that
expected to be received and paid during the LCR period, are calculated as follows:
18. The
Total net cash outflows over the next 30 calendar days = Total expected cash outflows
Min {total expected cash inflows;75% of the total expected cash outflows}
are
not allowed to double count items in the calculation of the LCR. lf a liquid
of HQLA (which is the numerator), the cash inflows
associated with that liquid asset should no longer count as part of the total expected
cash inflows (which is part of the denominator).
20. Where there is potential that a liability or obligation could be counted in multiple
outflow categories (e.g., committed business facilities granted to cover debt maturing
within the 3O-calendar day period), only such liability or obligation that will yield the
maximum amount of expected cash outflow must be included in the calculation of total
expected cash outflows, except when a specific outflow treatment is clearly prescribed
herein.
2L, Cash flows arising from purchase/sale of non-HQLA that are executed but not yet settled
at the LCR measurement date shall count towards other cash outflows/inflows. Outflows
and inflows of HQLA-type assets that are or will be excluded from the bank's stock of
HQLA due to operational requirements are treated like outflows or inflows of non-HQLA.
22. In calculating cash outflows and inflows, if considered to mature within the LCR period,
the bank shall make the most conservative assumptions for determining the maturity or
transaction date for an instrument or transaction:
a.
Appendix 74a
computing the LCR; Provided, that the decision not to exercise the option would not
subject the bank to any legal or reputational risk;
lf an option to adjust the maturity date is subject to a notice period, the bank must
determine, for cash outflows, the earliest possible contractual maturity date
regardless of the notice period; and for cash inflows, the latest possible contractual
maturity date based on the borrower using the entire notice period;
of a specific maturity date, i.e., there is no defined maturity or is an
open maturity, the bank must consider the instrument or transaction to mature
within the LCR period for cash outflows calculation; and after the LCR period for cash
d. In the absence
inflows calculation.
to
(a) Deposits
25. Regardless of maturity, all deposits, unless otherwise excluded under the cases specified
in the succeeding paragraph, shall be included in the calculation of total expected cash
outflows. These accounts are categorized either as retail or wholesale, with wholesale
accounts classified as either operational or non-operational, with different outflow rates
assigned accordingly. To capture the relative volatility of a deposit account during a
period of stress, the outflow rates for retail deposits are calibrated on a per account
basis. Wholesale operational and non-operational deposits, on the other hand, receive
outflow rates that are based on the established operational relationship of the depositor
with the bank.
a. The deposit
i.
ii.
the loan will not mature or be settled during the LCR period; and
the pledge or hold-out arrangement is subject to a legally enforceable contract
disallowing withdrawal of the deposit before the loan is fully settled or repaid.
Said exclusion, however, does not apply to a deposit which is pledged against an
undrawn facility, in which case the higher expected cash outflow between the
undrawn facility or the pledged deposit shall be used; or
Page 14 of 30
Appendix 74a
b.
(i)
b.
The funds held in this account are utilized for the operational needs of the client and
no excess balance is assumed to be retained for the purpose of earning interest, or
any economic incentive (i.e., rewards, rebates, reduction of fees or charges for other
bank services, etc.)from the bank; and
c.
30. In the case of the Philippine branch of a foreign bank, the amount of "Net Due To Head
Office/Branches/Agencies Abroad" account shall be treated as operational deposit for
LCR purpose. The "Due From" and "Due To" accounts are essentially clearing accounts
through which the head office and branch transactions of the foreign bank are cleared,
hence, for LCR purpose, the "Net Due To" balance shall be assumed as operational in
nature. However, accumulated "Unremitted Profits" and "Losses in Operation" shall not
be included in the LCR calculation considering that these balances are part of regulatory
capital for purposes of computing risk-based capital adequacy ratio and adjusted net
worth.
Page 15 of 30
Appendix 74a
for
of
foreign
exchange
a run-off rate of
2O%
Depositors
o
o
Run-off Rate
4Oo/o
Non-financial corporates
o Other entities
LOO%
33. lrrespective
(iv) Deposits received under correspondent banking and brokering seruices agreements
a.
Any obligation or instrument issued by the bank that is not eligible as capital, and
hence, treated as borrowings which the bank expects to fulfill within the LCR period;
b. All unsecured
c.
or has an earliest
contractual
Appendix 74a
37. A range of outflow rates is assigned to this wholesale fund depending on the assumed
stability of the funding in times of stress, i.e., in consideration of the sensitivity of the
fund providers to the rate offered and to the credit quality and solvency of the
borrowing bank, the type of wholesale client and their level of sophistication. However,
this category excludes:
(i)
a.
Debt instruments issued by the bank exclusively in the retail market, such that those
instruments cannot be bought and held by parties other than retail clients, which
shall be treated appropriately under the retail funding category; and
b.
lJnsecured wholesale lunding provided by the Philippine NG, LGUs, GOCCs, BSP; by
sovereigns, centrol banks, PSEs of foreign countries; by MDBs ond by non-finonciol
corporotes: 40% outflow rate
lrom
from other
Level
Level 2 assets
Outflow Rate
o%
Ls%
25%
50%
too%
Page 17 of 30
Appendix 74a
(i)
47. When the mark-to-market exposure of a derivative position of the bank is secured by
non-Level 1 HQLA, an additional outflow equivalent to 20% of the value of such posted
collateral, net of collateral received on a counterparty basis, provided that the collateral
received is not subject to restrictions on re-use or rehypothecation, shall be included in
the calculation of total expected cash outflows. This 2Oo/o shall be calculated based on
the amount required to be posted as collateral after applying the relevant haircut
prescribed for Level 2 assets and as agreed for non-HQLA assets. Any collateral that is in
a segregated margin account can only be used to offset outflows that are associated
with payments that are eligible to be offset from that same account.
1L
lf a bank posted a pool of HQLA and non-HQLA collateral to secure derivative and other transactions, the bank shall
compute the collateral requirement in the order of increasing liquidity value of said assets, consistent with the
methodology set out in footnote 4 of this standard.
Page 18 of 30
Appendix 74a
48. As bank faces potentially substantial liquidity risk exposures to the valuation changes of
collaterals posted by the bank on its derivatives and other transactions, the increased
liquidity needed to cover these market valuation changes should be included in the LCR.
Using the historical look-back approach, the collateral outflows shall be based on the
fluctuations in the total current market value amount of collaterals posted for all
derivatives for each day within consecutive periods of thirty (30) days. The amount of
additional expected cash outflows shall be equal to the largest difference between the
highest and the lowest amount of accumulated collateral posted during any thirty (30)-
day period in the last 24 monthsls preceding the date of the LCR calculation. The
collateral amounts pledged towards the bank shall not be taken into account.
(iii) Downgrade triggers emhedded
other
(iv)
Excess
50. An additional LOO% cash outflow based on the market value of the collateral held must
be calculated as part of the total expected cash outflows in cases where the bank holds a
collateral that:
a.
Can be contractually called at any time by the counterparty because the collateral
posted exceeds the counterparty's current collateral requirement under the
contracU
b. ls not
segregated
rehypothecated; and
c.
(v) Contractually required collateral which ore not yet posted: 100% outflow rote
51. For a collateral that is contractually due but the posting of which is not yet demanded by
the counterparty, the bank shall increase the total expected cash outflows by an amount
equivalent to L00% of the market value of the collateral.
15
16
The 2-year observation period consists of approximately 730 periods of 30-day, partly overlapping, rolling window.
This applies to contracts governing derivatives and other transactions that have clauses that require the posting of
additional collateral, drawdown of contingent facilities, or early repayment of existing liabilities upon the bank's
downgrade by a recognized credit rating organization. Contracts that include early termination agreements if a
triggering event occurs (e.9., credit rating downgrade) shall not be covered by this requirement.
Page 19
of 30
Appendix 74a
to
outflow rate
52. When a contract for a transaction that has not been segregated allows the received
HQLA collateral to be substituted for other collateral without the consent of the bank,
an additional tO}% outflow shall be included in the calculation of the total expected
cash outflows. lf the potential substitute collateral is a non-HQLA, the outflow amount
shall be based on the market value of the received HQLA collateral after applying the
respective haircut in the LCR (i.e., in the case of Level 2 assets). For substitution for other
HQLA collateral of a lower liquidity value, an outflow amounting to the market value of
the received collateral multiplied by the difference between the haircuts of the received
collateral and the potential substitute collateral should be applied.
(i)
Asset-backed securities
100% outflow rote
(SFls)
53. Under the assumption that the funding required to refinance the bank-issued SFls will
not be available, the bank shall assign a LOO% outflow rate to the total outstanding
amount of these instruments maturing within the 30-day period.
outflow rates
54. To take account of the potential liquidity risks pertaining to the bank's own structured
financing facilities that include the issuance of short-term asset-backed commercial
paper, the bank shall assume that its ability to refinance the outstanding maturing
of expected cash
In
56. Where the structured financing activities of the bank are conducted through a special
purpose entity (such as a special purpose vehicle, conduit or structured investment
vehicle), the bank should look through to the maturity of the debt instruments issued by
the entity and to any embedded options in financing arrangements that may potentially
trigger the "return" of assets or the need for liquidity, irrespective of whether or not the
SPV is consolidated.
This provision for additional liquidity requirement shall be applicable only when the received HQLA collateral actually
counts toward the bank's stock of HQLA, and its maturity value after applying the respective haircut is lower than the
liquidity value of the potential collateral substitution.
page 20 of 30
Appendix 74a
each committed obligation shall be calculated net of HQLA collateral, if any18; Provided:
The bank is legally entitled and operationally capable to re-use the collateral in new
cash raising transactions once the facility is drawn; and
b.
There is no undue correlation between the probability of drawing the facility and the
market value of the collateral.
of the committed
obligation to the extent that this collateral is not already counted in the stock of HQLA.
To calculate the expected cash outflows, the bank shall assume the amount of
59.
contractual loan drawdowns from irrevocable committed obligations and the estimated
drawdowns from conditionally revocable obligations within the 30-day period using the
following drawdown rates against the undrawn portion of these committed obligations:
Counterparties
o
o
o
o
o
o
Retail clients
5%
LO%
Non-financial corporates
70%
Banks subject
to prudential supervision
40%
Drawdown Rate
The bank shall calculate additional 100% cash outflows on each of the following
contractual obligation to extend funds within the next 30 calendar days:
a.
The HQLA in this case could have already been posted as collateral by the counterparty to secure the facility or is
contractually obliged to be posted when the counterparty will draw down the facility.
Page 21 of 30
Appendix 74a
b.
extend funds
to retail
and
non-financial corporates within the next 30 calendar days (not captured in the prior
categories) exceeds 5O%of thetotal contractual inflows due in the next 30 calendar
days from these clients, the difference should be reported as a LOO% outflow;
Forward reverse repos (with a binding obligation to accept) that start within and
mature beyond the LCR period, where the cash outflow should be netted against the
market value of the collateral received after deducting the applicable haircuts;
d.
In case of forward collateral swaps, the net amount between the market values of
the assets extended and received after deducting the haircuts applied to the
respective assets in the LCR counts towards "other contractual outflows" or "other
contractual inflows" depending on which amount is higher;
e.
Any other contractual cash outflows such as outflows to cover unsecured collateral
borrowings, uncovered short positionsle, dividends or contractual interest payments,
with explanation given as to what comprises this bucket. In case, however, the
bank's short position is being covered by a collateralized securities financing
transaction, the bank should assume the short position will be maintained
throughout the 30-day period and thus, will receive a 0% outflow rate.
51. Contractual obligations by the bank related to operating costs (such as rents, salaries,
utilities, and other similar payments) are not included in the calculation of LCR.
ongoing viability.
63. Other contingent funding obligations referred
others, of the following:
by the
c.
d.
Joint ventures or minority investments in entities which are not consolidated for
financial reporting purposes but there is expectation that the bank will be the main
liquidity provider when the entity is in need of funding; and
e.
i.
debt repurchases of the bank's own debt or that of related conduits, SlVs and
other such financing facilities;
19
In the case
of a bank's short positions, if the short position is being covered by an unsecured security borrowing, the
bank should assume the unsecured security borrowing of collateral from financial market participants would run-off in
full, leading to a 100% outflow of either cash or HQLA to secure the borrowing, or cash to close out the short position
by buying back the security.
Page 22
of 30
Appendix 74a
iii. managed funds such as money market funds and other types of collective
investment funds that are marketed by the bank with the objective of maintaining
stable value2o; and
iv. outstanding debt securities (unsecured and secured,
64. To account for the potential liquidity exposure to these contingent liabilities, a minimum
contingent obligations shall be calculated in the total cash outflows under the
assumption that the bank may be obligated to find additional sources of funding for
these positions in the event of client withdrawals.
56. To estimate
a.
ldentify the nature of the contingent obligation and credit worthiness of the
counterparty, as well as the exposures to business and geographical sectors, as
counterparties in the same sectors may be affected by stress at the same time;
relevant
off-balance sheet instruments under routine conditions and then estimate the scope
of increase in these outflows during periods of stress;
d.
'o
of 30
Appendix 74a
{ } Cash Inflows
67.Cap on total inflows, In order to prevent banks from relying solely on anticipated
inflows to meet their liquidity requirement when there is a possibility that a portion of
expected cash inflows may become unavailable in a short-term stressed environment,
the amount of inflows that can offset outflows is capped at75% of total expected cash
outflows. This requires that at a minimum, at least one-quarter of the total expected
cash outflow amount should be covered by HQLA.
68. When considering available cash inflows, the bank should only include inflows (including
interest payments and installments) from outstanding exposures that are contractually
due within the LCR period, and are fully performing and for which the bank has no
reason to expect a default within the LCR period.
69. For LCR purpose, the following shall not be counted as cash inflows:
a.
b.
d.
Payments from loans, receivables and other assets that are considered past due, or
that the bank has reason to expect will become non-performing exposure within the
LCR period;
e.
f.
g.
Amounts payable to the bank with respect to any transaction that has no specific
contractual maturity date, i.e., no defined maturity or is open maturity, or that
matures after the LCR period.
,"por"
70. For secured lending maturing within the LCR period, the bank shall calculate the
expected cash inflow using the following inflow rates applied to the outstanding amount
of the secured lending transaction:
Maturing Secured Lending Transactions
Backed by the Following Asset Category
o
o
o
2t
Inflow Rate
Level 1 assets
o%
15%
5oo/o
Level 2 assets
BSP is
is
Appendix 74a
lnflow Rate
50%
to0%
71. lf the collateral obtained through reverse repo, securities borrowing, or collateral swap,
which matures within the LCR period, is re-used (i.e., rehypothecated) and is used to
cover short positions that could be extended beyond 30 days, the bank should assume
that such reverse repo or securities borrowing arrangements will be rolled-over. To
reflect the need to continue to cover the short position or to re-purchase the relevant
securities, no cash inflow will be expected, hence a 0% inflow rate.
clients, either secured or unsecured, at a certain level even during times of stress. In this
view, all payments (including interest payments and installments) shall be assumed to
be received by the bank at a net inflow rate, as follows:
Counterparties
Inflow Rate
o Retail clients
o Philippine NG; LGUs; GOCCs; sovereigns, PSEs of foreign countries; MDBs
o Non-financial corporates
o Banks; financial corporates; trust and other fiduciaries; beneficiaries;
BSP; and
so%
so%
50%
LOO%
100%
73. For revolving credit facilities, the bank shall assume that the existing loan or financing is
rolled over and that no principal or interest payment shall be received from the
counterparty. However, in similar arrangements where the bank is not under obligation
to extend credit and/or the bank reserves the right to revoke or withdraw the
agreement and the facility in its sole and absolute discretion at any time, the principal
and interest payments for the loan shall be assumed to be received by the bank at the
foregoing net inflow rates.
74.ln case of loans with no specific maturity, the bank shall include as cash inflows, at the
rates prescribed above, the minimum payments of principal, fee or interest associated
with the open maturity loan, provided that such payments are contractually due within
the LCR period.
(c) Other cash inflows
75. The following instruments or transactions maturing within the LCR period shall receive a
rcO% inflow percentage:
a.
b.
Page 25
of 30
Appendix 74a
c.
arrangements;
d. Cash balances released from segregated accounts held for the protection of
customer trading assets, provided that these segregated balances are maintained in
HQLA;
f.
assets
that are or
will be excluded from the bank's stock of HQLA due to operational requirement;
Forward repos that start within and mature beyond the LCR period, where the cash
inflow should be netted against the market value of the collateral extended after
deducting the applicable haircuts; and
The sum of all cash inflows from derivatives transactions calculated in accordance
with poragraphs 42 to 45 under Section lll.C - Total Net Cosh Outflows.
During a period of financial stress, banks are allowed to use their stock of HQLA as
necessary in order to meet unforeseen liquidity needs that exceeds normal business
fluctuations, thereby temporarily falling below the minimum.
2.
Under this condition, the BSP will assess the situation to determine the extent to which
the reported decline in the LCR is due to a bank-specific or market-wide shock and will
accordingly provide the supervisory response necessary to address the circumstances.
The BSP action shall be proportionate with the drivers, magnitude, duration and
frequency of the reported liquidity deficit.
In all cases nevertheless, the BSP will be cognizant of the procyclicality of supervisory
actions if applied in circumstances of market-wide stress. Likewise, the BSP will consider
the potential for contagion to the financial system and the additional restricted flow of
credit or reduced market liquidity due to actions to maintain a minimum LCR. Overall,
the supervisory response will be based on a forward-looking assessment of
macroeconomic and financial conditions of the financial system as a whole.
B.
4.
In the event of an actual LCR shortfall (i.e., LCR falls below minimum threshold) for three
(3) banking days within any two (2)-week rolling calendar period, the bank must notify
the BSP, through the appropriate Central Point of Contact Department (CPCD), of such
non-compliances within the banking day immediately following the third shortfall,
notwithstanding if the LCR has already been restored during that day.
rank, and by
the officer charged with managing the liquidity of the bank, shall contain at a minimum
the following information:
a.
b.
to
non-
Page 26 of 30
Appendix 74a
c. The action/s the bank has taken and/or will take to achieve full LCR compliance;
of
d.
e.
LCR
opplicoble
CPCD
(may no
shortfall below the prescribed minimum will not necessarily result in supervisory
or enforcement action, but, at a minimum, will entail heightened supervisory
monitoring. The shortfall notice, together with the information gathered from the latest
report of examination, from regular prudential reports submitted, from available market
information, and if on file, from the internal management reports of the bank which may
include the results of its own stress tests, will serve as the basis of the BSP in making
assessments about the extent of the liquidity deficit and on whether the noncompliance with the LCR will be temporary, is part of a regular pattern or practice, or is
caused by an unusual event.
6.
An
7.
In
LCR
i.e.,
will require an effective and timely remedial action from the bank to address the
deficiency in its liquidity position within a committed timeline.
the
BSP
8.
During the period the liquidity requirement is being restored, the bank may continue to
have access to BSP credit and liquidity facilities notwithstanding non-compliance with
standard conditions of access related to liquidity position to such facilities. The Deputy
Governor, SES shall recommend such exemption to the Monetary Board (MB) for
approval.
9.
However, when the bank failed to restore its liquidity position within the committed
timeline, or is unable to substantially comply with the remedial measures directed,
sanctions may be imposed on the bank subject to MB approval. These may include any
or all of the following:
22
a.
b.
c.
d.
e.
InadditiontotheexpectedcompliancewiththeprovisionsandrequirementsoftheLCRstandard,theadequacyofthe
bank's liquidity position given the current level and prospective sources of liquidity compared to funding needs, as well
the adequacy of funds management practices relative to the bank's size, complexity and risk profile will be assessed.
Page27 of 30
Appendix 74a
L0. The BSP shall not be precluded in any way from requiring accelerated remedial actions in
the event the bank does not adequately address the deficiencies identified, or from
deploying more robust and stringent supervisory or enforcement actions if further
intrusive actions are deemed warranted. In cases where the bank's liquidity problem is
deemed to be exceptionally serious from the outset, or when the bank refused to
restore the required liquidity position, the BSP, upon the approval of the MB, may
impose more drastic actions based on existing laws, rules, and regulations.
the right, upon the authority of the Deputy Governor, SES, to require
submission of reports and information prescribed under item "c" of Subsection LL76.L
outside the regular reporting period, and to conduct on-site inspection outside of
regular or special examination, for the purpose of ascertaining the accuracy of LCR
calculations as well as the integrity of LCR monitoring and reporting systems.
Page 28 of 30
Appendix 74a
L.
To provide the banking public with a broader picture of the bank's liquidity risk position
and management and to promote market discipline, the bank is required to disclose
information related to LCR. Starting year 2019, the bank shall disclose its liquidity
position in single currency and on a consolidated basis in the quarterly published
balance sheet, and either, on the bank's website or in its other published financial
reports or publicly available regulatory reports (e.g., the audited financial statements).
3.
On the bank's website or in its other published reports, the disclosure must be
presented in a format following a common template (Annex C), and must contain the
following minimum requirements:
a.
Data must be reported as simple averages of quarterly observations over the last 12
months. The number of data points used in calculating the average figures in the
template must also be disclosed.
b. Sufficient qualitative
discuss:
i.
a.
Quantitative disclosures:
a.
Page 29
of 30
Appendix 74a
b.
liquidity exposures and funding needs at the level of individual legal entities,
foreign branches and subsidiaries, taking into account legal, regulatory and
operational limitations on the transferability of liquidity; and
c.
balance sheet and off-balance sheet items broken down into maturity buckets
and the resultant liquidity gaps.
b. Qualitative disclosures:
a. governance of liquidity risk management, including: risk tolerance;
structure and
responsibilities for liquidity risk managemenU internal liquidity reporting; and
communication of liquidity risk strategy, policies and practices across business
lines and with the board of directors;
b.
c.
d.
e.
Page 30 of 30
Annex A
Criteria
Characteristic
Ratings
Probability of default
Spreads
Price drops during distress
Asset quality
Asset
characteristics
Volatility
lmolied
Collateral eligibility
Duration
Aglol
/ time to maturity
nrivate coY$elparties
Standardization
and
standardization
Price transparency
Trading venues
Exchange_traded
Market
structure
characteristics
Size
Outstandings
Active and
sizeable
market
Reno
fllncine
o-lhel secylgd
availab]e
/ fo1ryrd filgnginc
(low concentralionl
investors
Large number of active market makers
Breadth
Market participation
Depth
price impact
trading
Market
liquidity
Liquidity
of
of-
AutogolelatioT ol
I:jyln'
lmmediacy
aloled
bid;ask sgreadl
{el
ante)
Annex
1.
for 40%
Where:
o Adjustmentfor
2.
The calculation of the 40% cap on Level 2 assets should take into account the impact on the
stock of HQLA of the amounts of Level 1 and Level 2 assets involved in secured funding,
secured lending and collateral swap transactions maturing within 30 calendar days. The
maximum amount of adjusted Level 2 assets in the stock of HQLA is equal to two-thirds of the
adjusted amount of Level 1. assets after haircuts have been applied.
3.
The adjusted amount of Level 1 assets is defined as the amount of Level 1 assets that would
result after unwinding those short-term secured funding, secured lending and collateral swap
transactions involving the exchange of any HQLA for any Level 1 assets (including cash) that
meet, or would meet if held unencumbered, the operational requirements for HQLA.
4.
The adjusted amount of Level 2 assets is defined as the amount of Level 2 assets that would
result after unwinding those short-term secured funding, secured lending and collateral swap
transactions involving the exchange of any HQLA for any Level 2 assets that meet, or would
meet if held unencumbered, the operational requirements for HQLA.
Annex
TIQUIDITY COVERAGE RATIO DISCTOSURE TEMPTATE
TorAt
ultwqcrttot
VATUE
NATURE OF ITEM
{AVERAGE)
TOTAT
VATUE
(AVERAGE)
Appendix 74a
(Section
Paragraph)
1.
2.
Deposits, of which:
3.
4.
5.
6.
Retail funding
Sum of lines 3
&4
Operational deposits
Non-operotionoldeposits(allcounterparties)
7.
8.
Secured funding
9.
10.
tL.
t2.
Structured financinginstruments
13.
L4.
15.
d. r
etail funding)
f unding
91
16.
period Qi.
1
Unweighted values must be calculated as outstanding balances maturing or callable within 30 days (for inflows and outflows).
2
W"ight.d values must be calculated after the application of respective haircuts (for HQLA) or inflow and outflow rates (for inflows and outflows).
Annex
I-IQUIDIW COVERAGE RATIO DISCTOSURE TEMPTATE
(ln Single Currency, Absolute Amount)
TorAL uruwgcnteot
NATURE OF ITEM
VATUE
(AVERAGE)
VATUE
(AVERAGE)
Appendix 74a
(Section
23.
Paragraph)
the
Sum of lines 17 to 19
Sum of lines 17
4oo/o
cap on Level
assets. Unweighted
to 19
Total Adjusted3
2I.
22.
cap on inflows.
Note: Not all reported figures will sum exactly, particularly in the denominator of the LCR. For example, "total expected net cash outflows"
(line 22) may not be exactly equal to "total expected cash outflows" minus "total expected cash inflows" (line 16 minus line 20)
considering the75% cap on inflows is binding. Similarly, the disclosed LCR may not be equal to an
average values of the set of line items disclosed in the template.
LCR
The
Adjustedva|Ue5mu5tbeca|cu|atedafertheapp|icationofboth:(i)haircUts(forTota|HQtA)andinfowandoutfowrates(folTota|NetcashoUtf|ows);
ceiling(i.e., cap on Level2 assets for HQLAand ceilinSon inflows).
LCRqi =
1\l
7x /LCRI
t=1
Attachment
(FORMAT)
SWORN CERTIFICATION OF COMPLIANCE WITH
THE LTQUTDTW COVERAGE RAT|O (LCR) REQUTREMENTS
<NAME OF BANK>
CERTIFICATION
Pursuant to Subsection 1176.1 of the Manual of Regulations for Banks, we
hereby certify that the Bank have fully complied with the minimum LCR requirement on
all calendar days of the month ended
20
We further certify to the best of our knowledge that above statement is true
and correct.
President/CEO or Country
TIN:
Head
TIN:
TIN:
Compliance Officer
TIN:
this _ day of
20----Philippines affiant/s exhibiting their government-issued
GOVERNMENT-ISSUED ID
DATE OF ISSUE
PLACE OF ISSUE
Witness my hand and notarial seal on the date and place above-written.
NOTARY PUBLIC
Doc. No.
Page No.
Book No.
Series of
_;
_;
_;
20_.
Attachment 2
(ln cose there is/are non-compliance/s during the month, the certificotion should read as
follows:)
Pursuant to Subsection 1175.1 of the Manual of Regulations for Banks (MORB),
we hereby certify that the Bank have fully complied with the minimum LCR requirement
2O_, except on (example):
on all calendar days of the month ended
Dates (Day)
LCR
Compliance (%)
99.56%o
(Monday)
98.t0%
98.97%
15 January 2018
President/CEO or Country
TIN:
Head
TIN:
TIN:
Compliance Officer
TIN:
20_,
SUBSCRIBED AND SWORN TO before me this _ day of
Philippines affiant/s exhibiting their government-issued
at
identification cards as follows:
NAME
GOVERNMENT-ISSUED ID
DATE OF ISSUE
PLACE OF ISSUE
Witness my hand and notarial seal on the date and place above-written.
NOTARY PUBLIC
Doc. No.
Page No.
Book No.
Series of
_;
_;
_;
20_.
DEADLINE:
after
measurement
basis)
15 banking days
end ofLCR
date (solo
after
measurement
SUBMISSION:
30 banking days
end ofLCR
date (consoldiated basis)
BANKS
(Name of Bank)
BASEL III
(Code)
(|ndicateiffo'''S|N''cNY''/''JPY.',etc.)
CURRENCY
of
nd
s.s.
We solemnly swear that all matters set forth in this report and all its supporting schedules are
true and correct, to the best of my knowledge and belief.
(Signature of
_)
function)
day of
this
20
CTC No.
Date/Place lssued
Notary Public
Until December37,20
PTR No.
Place
Doc. No.
Page No.
Book No.
Series of
(Name of Bank)
Name of Bank
Basel
(Solo
As of (Quarter-End)
(lndicate iffor "SINGLE CURRENCY" or for "PHP" or for "USD"/"EUR"/"CNY"/"JPY", etc.
Item
Nature of ltem
Weighted Amount
Reference
.!:::::
0.0!
A.1
A.2
A.3
0.00
o.o0
fiM
0.00
A.4
.q00
Part lll, ltem
0.00
0.0{
[A/B]
Page 1 of 1
0.0c
{Name of Bank)
Name of Bank
Basel
\Solo / Consolidated)
As of (Quarter-End)
Nature of lteml/
Item
Amount4
Factol
(a)
(b)
Weighted
Amount
(axb)
:::
o.0l
(1)
Cash on hand
L00%
0.u
(2)
L00%
0.q
(3)
Overnight and term deposits with the BSP, including reverse repurchase transactions where the BSP is the
LOO%
0.q
counterparty
(4)
qs
lssued or guaranteed bythe Philippine National Government (NG) and the BSP4/
(b)
(i)
Peso - Denominated
LOOo/.
0.(x
L00%
0.q
L00%
0,q
LOO%
0.(x
(i)
/
a 0% Basel
Sovereigns,centralbanksorpublicsectorentities(PSEs)offoreigncountries
organizations6/
Deduct:
(1) Add:
(a)
(b)
-Isum
0.(X
L00%
0.u
8.9
(a)
L00%
0.q
(b)
LOO%
0.q
Elitible securities'/ with a 20% Basel ll credit risk weight issued or guaranteed by
[sum ol B(1)(o) to B(1)(c)]
Add
o0l
0.tx
9.0(
0,@
Government-Owned and Controlled Corporations (GOCCs) and Local Government Units (LGUs)
a5%
0.00
(b)
85%
0.00
(c,
8s%
0.(Xt
o.0o
(4)
_.-__ s.a
(al
Eligible securities-' with a 50% Basel ll credit risk weight issued or guaranteed by
(3)
o.0l
0,00
r00%
(2)
otx
O,Nl
Level 1 assets lent or placed as collateral under short-term" secured funding, secured lending or
(1)
o,0l
(ii)
(ii) Multilateral
Add
o"0
0.oq
(a)
Government-Owned and Controlled Corporations (GOCCs) and Local Government Units (LGUs)
50%
0.00
(b)
500/"
0.00
(c)
50./.
0,00
q4
0.q
ta)
8s%
(b)
s0%
50%
Eligible common equity shares" that are included in the main index of an organized exchange
Deduct:
(1) Add:
Level 2 assets lent or placed as collateral under short-term" secured funding, secured lending or
(a)
(b)
(d)
Eligible common equity shares" that are included in the main index of an organized exchange
-[sum ol
ortheir equivalenl
8.1(2)(o) to 8.1{2)(d)]
0.0{
0.00
s0%
0,m
::
.-i:::r-.::::i: :
9'00
8s%
0.00
85%
0.00
50%
0.00
Elisible common eouitv shares'/ that are included in the main index of an orsanized exchanee
50%
0.00
(a)
(b)
(c)
(d)
AA-
or its equivalent
o00
0r0
Total Stock of High Quality Liquid Assets Eefore Cap Adjustment [Sum ol A ond B]
0.00
50%
0.00
85%
Level 2 assets borrowed or received as collateral under short-term7/ secured funding, secured
0,0{l
0.00
8s%
(c)
(2) Deduct:
0,ff
0.0{
Assets
IMox {8.2
24 *A,2,
Oil
Totaf Stock of High Quality tiquid Assets After Cap Adiustment [Net ol
e.q
C
q.sI
ond D]
Page 1
of
0.00
8fr1
1/
2/
To b" included in the stock of HQLA, the assets owned and the collaterals received under reverse repos/securities borrowings/derivatives transactions must meet
the foffowing eligibility criteria as prescribed under Section lll.B(1, ofthe LCR standard:
3/
4/
5l'
6/
7/
9t
-'
In addition to satisfying the HQLA eligibility criteria, the asset must not be an obligation by a bank or any of a bank's financial allied undertakings in order to be
included in the stock.
Securities which are guaranteed by the Philippine NG but were issued and remain as liabilities of a bank will not qualify for the stock of HQLA. The only exception is
when the bank also qualifies as a GOCC with the highest credit quality, in which case, the securities issued by said bank could qualify for Level 2 assets if all
necessary conditions are satisfied.
Eligible only up to the amount
ofthe net cash outflows in that specific foreign currency. This only applies to single-currency and consolidated
LCR.
Include the Bank of International Settlements, the International Monetary Fund, the European Central Bank and European Community and the multilateral
development banks (MDBs).
Pertains to maturity date up to and including 30 calendar days.
of Level 1 and 2 assets are computed for purposes of calculation of the 40% cap on Level 2 assets to take into account the impact on the
stock of HQLA of the amounts of Level 1 and Level 2 assets involved in secured funding, secured lending and collateral swap transactions maturing within 30
calendar days. Please refer to Annex B of the Appendix 74a for details.
The adjusted amount
Page 1
of
(Name of Bank)
Name of Bank
Basel
(Solo
As
of (Quarter-End)
Outflow
Amount2/
(al
Nature of lteml/
Item
Rates
Weighted
Amount
(b)
(axb)
2.
Retail funding
i,.:
p.q,
a.
b.
c.
Php 500,000.01
Wholesale funding
Php 4,000,000.00
0.(x
L5%
0,(x
30%
0.q
L00%
0.(x
c.
au
PSES
offoreign countries;
MDBs
(2)
Non-financial corporates
(2)
iii.
PSEs
offoreign countries;
Non-financial corporates
Financialentities
20%
0.(x
20%
0.(x
40%
0.(x
o,ft
MDBs
0.(x
LO%
Operational deposits
(1)
2.
3.
o.or
504
a.
b.
i.
3.
4.
o,0l
40%
o.(x
LOO%
o.(x
LOO%
0.q
o"/.
0,(x
o%
o.(x
0.0(
40%
0,q
Non-financialcorDorates
40%
0.(x
Financialcorporates
too%
0.(x
LOO%
0.(x
PSEs
1.
o%
0.(x
L5%
o.ol
3.
25%
0.(x
50%
0.(x
All other maturing secured funding transactions not specified in the above related categories
roo%
4.
5.
LGUS
uoi
j=
1.
2.
2oo/o
0.q
...
0.q
LOO%
0.ol
20%
o.ol
0,(x
6.0(
Potential valuation changes on non-Level 1 posted collateral securing derivatives and other
transactionsT/
b.
7OO"/o
c.
d.
LOOo/o
0.0(
L00%
o.(x
e.
LOOo/.
o.(x
f.
LOO%
0.(x
rco%
0.d
LOO%
0.0c
LOO%
0.0(
-:=:
2.
Asset-backed commercial paper, conduits, securities investment vehicles and other such financing
facilities
[Sum of E.2.i ond E.2.ii]
a.
LCR
periodla/
b. Withembeddedoptionsinfinancingarrangementsthatallowforthereturnofassetsorpotential
liquidity supportls/
Page 1 of 2
0J(
Amount2/
F.
(al
Nature of lteml/
Item
Retail clients
2.
3.
PSEs
Non-financialcorporates
to prudential supervision
5.
Other financial institutions (including securities firms, insurance companies, trust and fiduciaries, and
beneficiaries), 5PEs, conduits and SPVS lexcluding bank's own structured financing facilities]]
6.
within
a 30-day Period
Other contractual lending obligations to financial institutions not captured in the prior related
categories
Z.
to retail and non-financial entity clients which are not captured in the
prior related categories over total contractual inflows from said clientslT/
a.
b.
Z.
o,tr
5%
0.0(
LO%
0.0(
LO%
0.0(
40%
0.0(
tOOo/.
0.fi
roo%
0.(X
0.0(
LOO%
o.(x
n0%
0.fi
0.(x
o.0(
roo%
o.(x
Collateral swapsle/
700%
0.(x
LOO%
0.(x
3%
0.(x
Total other contractual cash outflows not captured in the above related categories'ol lPleose
enumerote, if ony. see toble below.)
0.00
0.fl
3.
4.
(axb)
Amount
0.d
''
Weighted
Rates
(b)
0.fi
1.
Outflow
: o.00
a.
b.
3%
0.fi
3%
0.0c
c.
d.
e.
Deferred
3%
0.0(
3%
0.0(
3%
f.
3%
0.fi
0.fi
3%
0.(x
LCs
Revolving
Export
LCs
LCs
outstanding
outstanding
of credit confirmed
0.0(
3%
0.(x
5.
Total contingent liabilities that will materialize during the LcR period22/ lPleose enumerote, if ony. See
toble below.)
0.tr
LOO%
0.(x
6.
50%
0.fi
G.4
..
o.{r(
0,0(
(1)
t2l
(3)
(4)
(s)
H.4
[Sum of H.AH) to
H,aF)]
0.(X
(1)
tzl
(3)
(4)
(s)
H.5
(1)
(2)
(3)
(4)
(s)
Page 2 of 2
0.0(
r!g
vlhece|cU|ationofexpKtedcashoutllow'percate!prsh.||hba'dontha$umPdo
3/
4/
the outstanding balance of the .count or instrunent as of measurement d.te, qept when othrwise stated herelnIhis rdlrs to tem dporlis maturing beyond the 3Gday
The crdrt hcrlrty or the ld. for which the deporlt has been pledgedAeld-out will matur or be rettled beyond the LcR period.
6/
Refers to
a.
sl6
b'whereder|vadwp.vment5areco||fterd||EdbyHoIAnetofanycorrs!ondin!ca3hpaymentor@||atera|nrfow'thnwou|dlu[a||dkrth|nFH
payment or collateBl to b provided to the bank; prvided, the
In
..se of "in the mofiy/ optlons, said optid5 shall b assumed to be errcised when they ar "in the money' to the option buyr,
zTheoutfowsha||beca|cU|atedb.*donthenotiona|amoUntrequ|redtobepo5ted.sco||aia|afeiaPpr|n8ther
8/
a.
b.
c,
9/
the tarlBn fluctuation in the amount of cotlateral ponEd for the last 24 month precedlna the LcR me.suEnent date, calculated at follows:
For each day, sum up the current m.rket v.lue of all collatenls poded by the bank fo. its derivaiives cont6ctt and other trans.ctions; then,
For every 3cday pe od (apply a 3cday movlnS wrndow), find the differcnce btwen the hldeet and the loMn amouit of accumulated collateral posted; then,
Among the approximately 730 obserued dlfferenes, detemine the larSp3t amount of differe..e in @llateral pottd
Refers to
the addition.l .oll.teral or contractual cash outnow requircd in th contract tiat wlll have to be posted or tunded,
10/ Ihe outflow shall be basd on the markd value of th collateral held.
lhe outflow shall be ba!d on the ma*et value of th collaterel th.t will have to be posted.
The
ourftd sh.tt
be equivatent to
lV
12/|fHQtAco||atera|{'&,Leve|1a5*t!lmaybesub5tltUGdfolLeE|2a55t!(e.g',Leve|2ass),theoUfowamoud
13/ Th outflow shall b bared on the toial outdandlng amount of these instrumnts maturlnS withln the 3cd.v pdod
u/
15/
rhe outflow shall be basd on the amount of as3ets that could potentlalt b .etu.ned, or on the liquidiv rcqulred
1/
13/FolfoMadlewr*rpos(sithab|nd|n8ob||gationtoac@pt,,thcashoUtfow'hou|dbenetteda8ainstiiemarket
19/|nca!eofforwardco||atera|swap!,thenetahountbetweenthem.rketva|Uesofth.
c$h outflows such as outflows to cd$ unsecured collateral botrowlngr, uncowrcd short posnions , dlvldends or contradual Inte.est payments
lhe outflow shall be dl@lated uslng the undrawn ponion of each uncondltlonally rcvoc.ble un@mDitted obli8btlon
22l lhe dhwddn shatt be catcutared based on the @ntracted amount, on th undrawn portion of the faciliv or on $e value of the fund or debt initrumenb, whichever B applkable
2q
2y
Page 1
of
(Name of Bank)
Name of Bank
(Solo
Consolidated)
of (Quarter-End)
(lndicate if for "SINGLE CURRENCY' or for "PHP" or for "USD"/"EUR"/"CNY"/"JPY", etc.
As
Inflow
Nature of ltemr/
Item
A. Secured Lending2/
1
2.
3.
4.
5.
3/
C.
Rates
Weighted
Amount
(al
(b)
(axb)
o.*
d'd
Level 1 assets
o%
0.m
t5/o
0.0{
so%
0.m
50%
0.0!
roo%
0.00
5oo/o
0.00
50%
0.00
Non-financialentitiess/
s0%
0.00
L00%
0.00
1.
2.
3.
4.
Amount
a/
.i:=j
0.m
Retail clients
PSE5,
and MDBs
0.ft
t00%
0.00
2.
L00%
0.00
3.
Cash balances arising from the provision of brokering services and similar
!oo%
o.00
700%
0.0(
too%
0.00
L00%
0.00
LOO%
0.00
100%
0.00
arrangements
4.
Cash balances released from segregated accounts held for the protection of
5.
6.
7.
8.
LCR periode/
if
0.0(
,dE
E.
0.d
F.
oo(
C.8
0.0(
(r.
(2
(3
(4
(s
Page 1
of
S.-.
o.il
r/
cash inflows considered include only contractual inflows from outstanding exposures that are fully performlnS and for which the bank/QB has no reason to exped a defauh
LCR period and exclude those instru ments or transactions enumerat ed Undet Sedion lll.C pomgrcpn 60 of the tCR standard.
With respect to determining the maturity, unless specifically prescribed, the instruments ort.ansadions included in the calculation of expected cash inflows Iollows the
assum ptlons set forth undet Section l.Cpotogftph 62 of the LCR standard.
within the
2/
''
5/
whre applicable, cash inflowsinclude Interests and installments that are expected to be r.ceived duringthe
LCR
''
8/
9/
tol.ca|cu|atedinaccordancewiththemethodo|ogyde5cribedinsction|l|.cparagraphs36-38.Wherederivat|vesareco||atera|izedbyH,cash|nfow5a
corresponding cash or contctual collateral outflows that would result. allother things being equal,from contractual obligations tor cash or collateralto be posted by the
bank/QB, glven these contractual obligations would reducethe stock of HQLA.
Page 1 of 1
ASSETS
Page 1 of 2
ASSETS
(Month Ended)
Amount
Particular
Expected Monetise(
Counterparty
lssuer/ Borrowerf
(Name of
tStN
CY
ec8tlonl
,)
Foreign
Peso
Currency
Equivalent2/
Asset Class
account/
Estimated Haircut
Required by the
Secondary Market
Country)
(o/"1
Location
(Custodial
":\/fr,
Value of the
Collateral
(ln PhP Absolute
Amount)
::wlil,,'.t:.!!!1,//,i//
0.0(
0.0(
0.0(
0.0(
0.0(
rOTAt
otal
TEVEL 2 ASSETS
xni$rbneF:$ru6!lt8il#'l#Kf.fS-.-$*t
:,..-1,,.,:..,',i
irit:
rri14L{.!--..\ua
r={:.f
i"''
.,i:.-:S
-l
0.0c
0.0(
0.fi
0.(X
1/il'lly..s
0.0(
0.0(
0.0(
0.0(
0.0(
Total
0.0(
W,\alte,ffil,,p;:i,ilu$6/{6livrottr
rl
,l
rcatlonf
'llllwti:Si,
azii
iii[i;tLl////r/,i"#'i]i,
0.0(
,v
/1,
l];irii,iiil
'llltiliii!(lfu
0.0c
0.0c
;l
0.0c
0.0c
0.0c
Total
1/
Totallewll
and
AssETs
Page 2 of 2
0.00
0.0c
0.fi
0.(x
.1 t:
! aE
i{!=
:{E?
6 i:3
iiE
x=
2
5
E
2
tr
ts' "r-e
c
elF
Pl
:d
:l -:
E q=l
I
I
,
r
E
2
.9
'i
{
t
g
e,
I
:
!l
T!
i.i
ti
,
a
i
lr
tlta
G
II
5;
3i
;t
a
ir
iI
:t
li
:r
I
l!
t:
i3
I!
::
3a
IE
It
!E
t=
!E 33t
3;
E i!.i
.idr{ !!;
:
I
t
I
:
t
I
6
I
It
:l
,
zt
a
*
a
<g
s
{
E1
;t
;43
6i:
:ii
9EE
:9_a
6l
i
Fi
ni
t
I
.g
E ?];E
9:E
c ;lqt i.i
<
:s
j ;t:E